Since November 2006, MSVARlib
is available in the SCILAB environment thanks to the hard work of Eric Dubois. MSVARlib functions have been included in the version 1.2 of the GROCER toolbox. Grocer is a dedicated econometric package which significantly increase the appeal of Scilab
to applied econometricians. There are 3 different high level functions that estimate a MS model in grocer: the most general one, called ms_reg and two particular cases, ms_mean and ms_var.
There is also a low level function ms_estimate, that estimates a MS model but with restrictions on the data which can only be in a matrix form. MS-Models available in the Gauss package and the related paper: "Classical Estimation of Multivariate Markov-Switching Models with MSVARlib
"
can now be estimated for free, and in a very accessible way. Many thanks to Eric !